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Effect of S&P500's return on emerging markets: Turkish experience

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  • Hakan Berument
  • Onur Ince

Abstract

This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 1 (January)
Pages: 59-64
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Handle: RePEc:taf:apfelt:v:1:y:2005:i:1:p:59-64

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